Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 5 5 5
Score 8.12 6.64 8.04
Market Cap (Millions USD) 78148.03 75028 74249.77
Predicted Beta 2.8 2.78 2.73
Idiosyncratic Volatility 2.49 3.16 3.3

Annualized return and volatility

QQQ
Annualized Return 0.0473
Annualized Std Dev 0.2712
Annualized Sharpe (Rf=0%) 0.1745

Row

Daily Return Statistics

QQQ
Observations 5112.0000
NAs 2.0000
Minimum -0.0896
Quartile 1 -0.0062
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0076
Maximum 0.1684
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0171
Skewness 0.3349
Kurtosis 7.8256

Downside Risk

QQQ
Semi Deviation 0.0121
Gain Deviation 0.0128
Loss Deviation 0.0132
Downside Deviation (MAR=210%) 0.0165
Downside Deviation (Rf=0%) 0.0119
Downside Deviation (0%) 0.0119
Maximum Drawdown 0.8296
Historical VaR (95%) -0.0274
Historical ES (95%) -0.0415
Modified VaR (95%) -0.0234
Modified ES (95%) -0.0241
From Trough To Depth Length To Trough Recovery
2000-03-28 2002-10-09 2015-02-20 -0.8296 3815 647 3168
2018-08-30 2018-12-24 2019-04-12 -0.2280 158 82 76
2015-12-02 2016-02-09 2016-07-27 -0.1610 166 48 118
2000-01-04 2000-01-06 2000-01-19 -0.1547 11 3 8
2015-07-21 2015-08-25 2015-10-28 -0.1394 72 27 45

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec QQQ
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 2.7 0.8 0.0 0.9 5.1 0.0 -1.3 1.0 0.0 -0.9 1.6 0.0 10.2
2001 1.3 2.8 0.0 4.1 3.0 0.0 3.2 0.0 -0.9 4.2 0.0 0.0 19.1
2002 -1.0 5.8 1.9 -0.5 0.0 -4.8 -4.7 0.0 6.1 2.9 0.0 0.0 5.2
2003 0.0 0.0 0.8 0.9 0.0 1.3 -1.1 0.0 2.3 0.0 1.5 0.0 5.8
2004 0.0 1.3 0.9 0.0 -0.1 -1.9 0.0 0.7 2.7 0.4 2.0 0.0 6.2
2005 0.3 1.1 -1.0 0.0 0.8 -0.1 0.2 -0.2 0.0 -0.1 1.9 0.0 2.9
2006 0.4 1.4 0.0 -1.0 2.4 0.0 -1.7 0.5 0.0 -1.4 -0.9 0.0 -0.3
2007 -0.2 -0.5 0.0 -0.1 0.1 0.0 0.8 0.0 1.1 -1.9 0.0 0.0 -0.6
2008 1.0 0.0 4.3 3.2 0.0 1.4 -1.3 0.0 -1.1 0.0 -7.5 0.0 -0.4
2009 0.0 0.0 1.5 0.3 2.9 0.1 0.0 -1.9 -3.0 0.0 1.0 0.0 0.7
2010 1.1 1.5 0.0 0.0 -0.9 -0.3 0.0 3.0 -0.1 0.1 2.1 0.0 6.5
2011 1.9 -1.6 0.1 0.0 -2.2 1.5 -0.5 -0.9 0.0 -2.6 0.7 0.0 -3.7
2012 0.8 0.8 0.0 0.2 -2.7 0.0 -0.3 0.0 -0.1 1.4 0.0 0.0 0.0
2013 1.2 0.4 -0.7 -0.5 0.0 0.6 1.0 0.0 1.0 0.0 0.0 0.0 3.1
2014 0.0 0.0 1.8 0.3 0.0 1.1 -0.4 0.0 -1.6 0.0 -1.1 0.0 0.0
2015 0.0 0.0 -0.5 1.3 0.3 0.8 0.0 -3.1 0.5 0.0 1.0 0.0 0.2
2016 0.3 3.2 1.1 0.0 0.0 0.5 0.5 0.3 0.0 -0.8 -1.7 0.0 3.3
2017 0.7 1.1 0.0 0.9 0.4 0.0 0.2 -0.1 0.0 0.0 -0.4 0.0 2.7
2018 -0.9 -1.6 0.0 1.1 1.6 0.0 0.4 0.0 0.2 1.3 0.0 0.0 2.1
2019 -0.4 0.7 1.3 -0.3 0.0 1.3 -0.5 0.0 -0.8 0.9 0.0 0.1 2.3

Row

Rolling Performance Chart

Snail Trail Chart